Natural (non-)informative priors for skew-symmetric distributions

Abstract

In this paper, we present an innovative method for constructing proper priors for the skewness parameter in the skew-symmetric family of distributions. The proposed method is based on assigning a prior distribution on the perturbation effect of the skewness parameter, which is quantified in terms of the Total Variation distance. We discuss strategies to translate prior beliefs about the asymmetry of the data into an informative prior distribution of this class. We show that our priors induce posterior distributions with good frequentist properties via a Monte Carlo simulation study. We also propose a scale- and location-invariant prior structure for models with unknown location and scale parameters and provide sufficient conditions for the propriety of the corresponding posterior distribution. Illustrative examples are presented using simulated and real data.